Vavra, Marian - Birkbeck, Department of Economics, Mathematics & Statistics - 2012
The paper examines the robustness of the size and power properties of the standard non-linearity tests under different … direct link between moment condition failure and the power variation of non-linearity tests. Second, the power of the tests …-linear time series models using 8 standard non-linearity tests, some non-linear models remain completely undetected. …